標(biāo)題: Titlebook: CreditRisk+ in the Banking Industry; Matthias Gundlach,Frank Lehrbass Book 2004 Springer-Verlag Berlin Heidelberg 2004 Asset Backed Securi [打印本頁(yè)] 作者: 黑暗社會(huì) 時(shí)間: 2025-3-21 18:45
書目名稱CreditRisk+ in the Banking Industry影響因子(影響力)
書目名稱CreditRisk+ in the Banking Industry影響因子(影響力)學(xué)科排名
書目名稱CreditRisk+ in the Banking Industry網(wǎng)絡(luò)公開度
書目名稱CreditRisk+ in the Banking Industry網(wǎng)絡(luò)公開度學(xué)科排名
書目名稱CreditRisk+ in the Banking Industry被引頻次
書目名稱CreditRisk+ in the Banking Industry被引頻次學(xué)科排名
書目名稱CreditRisk+ in the Banking Industry年度引用
書目名稱CreditRisk+ in the Banking Industry年度引用學(xué)科排名
書目名稱CreditRisk+ in the Banking Industry讀者反饋
書目名稱CreditRisk+ in the Banking Industry讀者反饋學(xué)科排名
作者: mercenary 時(shí)間: 2025-3-21 21:30
,Qualit?t der Abschlussprüfung,ransformations that relates identical though differently represented models. In the simplest case of homogeneous one-factor one-band-models, there is an approximate symmetry between consistently parametrized CreditRisk. and CreditMetrics. This can be viewed as evidence that there exists in general a作者: 劇毒 時(shí)間: 2025-3-22 01:04
,Schülerauswahl für F?rderma?nahmen,sions of the logarithm and the exponential of a power series. We show that it is advantageous to the Panjer recursion advocated in the original CreditRisk. document, in that it is numerically stable. The crucial stability arguments are explained in detail. Furthermore, the computational complexity o作者: compassion 時(shí)間: 2025-3-22 07:35 作者: prick-test 時(shí)間: 2025-3-22 10:53
,Ursachen für Langeweile im Unterricht,is chapter shows how saddlepoint approximation can be applied to an extended version of CreditRisk. that incorporates idiosyncratic severity risk. Regardless of the number of sectors and without any need for discretizing loss exposures, both value-at-risk and expected shortfall are easily calculated作者: 點(diǎn)燃 時(shí)間: 2025-3-22 15:03
,Ursachen für Langeweile im Unterricht,rier inversion are presented. For the convenience of the reader, a short introduction to the theory of characteristic functions and the Fourier transformation is given. Then two general results are stated how to obtain the distribution of a random variable from its characteristic function. These gen作者: 點(diǎn)燃 時(shí)間: 2025-3-22 17:14
Wirtschaft, Gerechtigkeit und Ethik,nts. We provide an extension that enables modelling of default correlations among segments while preserving the analytical solution for the loss distribution. Moreover, the proposed methodology can consistently be extended to independently (of default events) model stochastic severities in collatera作者: DNR215 時(shí)間: 2025-3-23 00:39
,Ursachen für Langeweile im Unterricht,rating functions (MGFs) of both distributions have a simple analytical form, which fits into the framework of Chapter 6 so that the nested evaluation recursion scheme can be applied. We show how the parameters of the new distributions can be fitted to an externally given covariance matrix for the ri作者: 異端 時(shí)間: 2025-3-23 04:57 作者: 記憶法 時(shí)間: 2025-3-23 05:59 作者: fibula 時(shí)間: 2025-3-23 10:56 作者: JECT 時(shí)間: 2025-3-23 14:06 作者: 厭煩 時(shí)間: 2025-3-23 20:33 作者: anachronistic 時(shí)間: 2025-3-24 01:33 作者: BATE 時(shí)間: 2025-3-24 06:08 作者: glans-penis 時(shí)間: 2025-3-24 10:08 作者: Preserve 時(shí)間: 2025-3-24 11:42 作者: Palatial 時(shí)間: 2025-3-24 17:29
Springer Financehttp://image.papertrans.cn/c/image/239651.jpg作者: 最初 時(shí)間: 2025-3-24 22:49
Hans Albert Richard,Ralf Bürgel,Andre RiemerWe give a brief description of the history, possibilities and applications of CreditRisk. as well as an overview of the book.作者: 共同時(shí)代 時(shí)間: 2025-3-25 00:52 作者: 遣返回國(guó) 時(shí)間: 2025-3-25 03:27 作者: 燈泡 時(shí)間: 2025-3-25 09:54 作者: 移動(dòng) 時(shí)間: 2025-3-25 12:41
Basics of CreditRisk+,We present the fundamental ideas of CreditRisk. and give an introduction to the main notions of this credit risk model. In particular we set up the notations for the book and describe the original version of CSFP.作者: Systemic 時(shí)間: 2025-3-25 17:02
Estimation of Sector Weights from Real-World Data,We discuss four different approaches to the estimation of sector weights for the CreditRisk. model from German real-world data. Using a sample loan portfolio, we compare these approaches in terms of the resulting unexpected loss risk figures.作者: STALE 時(shí)間: 2025-3-25 20:43 作者: 專心 時(shí)間: 2025-3-26 02:31 作者: canonical 時(shí)間: 2025-3-26 06:11
CreditRisk+ in the Banking Industry978-3-662-06427-6Series ISSN 1616-0533 Series E-ISSN 2195-0687 作者: patriarch 時(shí)間: 2025-3-26 12:18
,Schülerauswahl für F?rderma?nahmen,sions of the logarithm and the exponential of a power series. We show that it is advantageous to the Panjer recursion advocated in the original CreditRisk. document, in that it is numerically stable. The crucial stability arguments are explained in detail. Furthermore, the computational complexity of the resulting algorithm is stated.作者: 惹人反感 時(shí)間: 2025-3-26 15:14 作者: 遭受 時(shí)間: 2025-3-26 17:14 作者: 事先無準(zhǔn)備 時(shí)間: 2025-3-26 21:05
Numerically Stable Computation of CreditRisk+,sions of the logarithm and the exponential of a power series. We show that it is advantageous to the Panjer recursion advocated in the original CreditRisk. document, in that it is numerically stable. The crucial stability arguments are explained in detail. Furthermore, the computational complexity of the resulting algorithm is stated.作者: Exclaim 時(shí)間: 2025-3-27 02:21
Saddlepoint Approximation,is chapter shows how saddlepoint approximation can be applied to an extended version of CreditRisk. that incorporates idiosyncratic severity risk. Regardless of the number of sectors and without any need for discretizing loss exposures, both value-at-risk and expected shortfall are easily calculated.作者: STALE 時(shí)間: 2025-3-27 08:17
An Analytic Approach to Rating Transitions,odifica-tions to the original methodology are proposed to make the extension to a mark-to-market model tractable. The distribution of portfolio value changes is obtained analytically by a two-dimensional recursion algorithm.作者: 使聲音降低 時(shí)間: 2025-3-27 12:57 作者: Barter 時(shí)間: 2025-3-27 14:56
Book 2004le, notation, etc. The discussion ranges from computational methods and extensions for special forms of credit business to statistical calibrations and practical implementations. This unique and timely book constitutes an indispensable tool for both practitioners and academics working in the evaluation of credit risk..作者: Herpetologist 時(shí)間: 2025-3-27 18:56 作者: 暖昧關(guān)系 時(shí)間: 2025-3-28 01:01 作者: Crumple 時(shí)間: 2025-3-28 05:58
Dependent Sectors and an Extension to Incorporate Market Risk,isk model is an important step to combining this model with market risk. Additionally a portfolio model will be presented where the changes of the spreads are driven by the risk factors. Using a linear expansion of the market risk, the distribution of this portfolio can be determined. In the special作者: Repetitions 時(shí)間: 2025-3-28 09:38 作者: MOTIF 時(shí)間: 2025-3-28 13:17
Capital Allocation with CreditRisk+,egative cash-flow resulting from credit losses. In this case, the allocation method can be specified by means of a risk measure. Its result is called economic capital of the portfolio. Second, at subportfolio or transaction level, capital allocation means breaking down the economic capital of the po作者: 魔鬼在游行 時(shí)間: 2025-3-28 17:07
Risk Factor Transformations Relating CreditRisk+ and CreditMetrics,ransformations that relates identical though differently represented models. In the simplest case of homogeneous one-factor one-band-models, there is an approximate symmetry between consistently parametrized CreditRisk. and CreditMetrics. This can be viewed as evidence that there exists in general a作者: 物質(zhì) 時(shí)間: 2025-3-28 22:23
Numerically Stable Computation of CreditRisk+,sions of the logarithm and the exponential of a power series. We show that it is advantageous to the Panjer recursion advocated in the original CreditRisk. document, in that it is numerically stable. The crucial stability arguments are explained in detail. Furthermore, the computational complexity o作者: engender 時(shí)間: 2025-3-29 01:12
Enhanced CreditRisk+,at the probability-generating function (PGF) of the loss variable is the MGF of the factors, evaluated at a particular “point”. This approach has two major advantages: it leads to a new recursion formula for the portfolio loss distribution that is faster and more accurate than the standard approach.作者: mechanism 時(shí)間: 2025-3-29 03:42 作者: 山頂可休息 時(shí)間: 2025-3-29 08:21
Fourier Inversion Techniques for CreditRisk+,rier inversion are presented. For the convenience of the reader, a short introduction to the theory of characteristic functions and the Fourier transformation is given. Then two general results are stated how to obtain the distribution of a random variable from its characteristic function. These gen作者: cardiac-arrest 時(shí)間: 2025-3-29 13:16
Incorporating Default Correlations and Severity Variations,nts. We provide an extension that enables modelling of default correlations among segments while preserving the analytical solution for the loss distribution. Moreover, the proposed methodology can consistently be extended to independently (of default events) model stochastic severities in collatera作者: Chronological 時(shí)間: 2025-3-29 16:15 作者: cogitate 時(shí)間: 2025-3-29 22:25
Integrating Rating Migrations,dit loss according to the default mode approach is inferior to the more comprehensive markto-market approach used in other credit portfolio models like CreditMetrics. In this chapter we present a practical, “easy to implement” procedure that allows us to integrate the rating migration concept — an i作者: hurricane 時(shí)間: 2025-3-30 00:34 作者: famine 時(shí)間: 2025-3-30 06:47
Dependent Sectors and an Extension to Incorporate Market Risk,. If one extends the model such that the risk factors are dependently distributed with quite arbitrary distributions, one has to give up the existence of a closed-form solution. The advantage of this approach is that one gains interesting generalizations and the computational effort to determine the作者: CRACK 時(shí)間: 2025-3-30 08:48 作者: 拋物線 時(shí)間: 2025-3-30 13:25 作者: 是剝皮 時(shí)間: 2025-3-30 17:29 作者: Nausea 時(shí)間: 2025-3-30 22:09 作者: GEM 時(shí)間: 2025-3-31 04:30 作者: 災(zāi)難 時(shí)間: 2025-3-31 08:52
1616-0533 practitioners of credit risk models.the authors represent c.CreditRisk+ is an important and widely implemented default-mode model of portfolio credit risk, based on a methodology borrowed from actuarial mathematics. This book gives an account of the status quo as well as of new and recent developme作者: Cupidity 時(shí)間: 2025-3-31 11:28 作者: Musculoskeletal 時(shí)間: 2025-3-31 14:51 作者: 染色體 時(shí)間: 2025-3-31 21:17
https://doi.org/10.1007/978-3-658-04055-0porates multi-objective evolutionary and local search methods as well as specific features of the CreditRisk. model. We apply the hybrid approach to a sample loan portfolio to illustrate its working principle.作者: acquisition 時(shí)間: 2025-4-1 00:53 作者: 小官 時(shí)間: 2025-4-1 02:02
Fourier Inversion Techniques for CreditRisk+,eral techniques, which are based on Fourier inversion, will be applied to the CreditRisk. model and yield efficient and numerically stable algorithms, which provide the loss distribution in the CreditRisk. framework. Advantages of this approach are that the algorithms are easy to implement and that a basic loss unit is not required.作者: Demulcent 時(shí)間: 2025-4-1 07:20 作者: agenda 時(shí)間: 2025-4-1 11:29
Numerical Techniques for Determining Portfolio Credit Risk, second algorithm makes use of an importance sampling technique for allocating credit risk contributions according to the risk measure expected shortfall. The coherent risk spectrum that is obtained by varying the loss exceedance level is introduced and its properties are discussed.作者: 擁擠前 時(shí)間: 2025-4-1 17:11
Some Remarks on the Analysis of Asset-Backed Securities,d shortcomings. We will focus on the usage of CreditRisk. in the context of ABS pricing, outline the prerequisites for running the model in practice and finally discuss the pricing of a simple ABS structure with CreditRisk..作者: diathermy 時(shí)間: 2025-4-1 20:14 作者: TEN 時(shí)間: 2025-4-2 02:03
Dependent Risk Factors,recursion scheme can be applied. We show how the parameters of the new distributions can be fitted to an externally given covariance matrix for the risk factors. With the example of a test portfolio we compare the new models with a single-factor approach to correlation, which has been proposed in [1].作者: 疲憊的老馬 時(shí)間: 2025-4-2 05:12 作者: 羞辱 時(shí)間: 2025-4-2 07:26 作者: 毛細(xì)血管 時(shí)間: 2025-4-2 12:26
,Ausblick: Was zu verbessern w?re,mportant advantage of CreditMetrics — into CreditRisk.. Rating-driven changes in market value that are characteristic of liquid portfolios are included in this model without losing the benefits of CreditRisk..作者: GRACE 時(shí)間: 2025-4-2 16:21 作者: Nomogram 時(shí)間: 2025-4-2 22:20
d shortcomings. We will focus on the usage of CreditRisk. in the context of ABS pricing, outline the prerequisites for running the model in practice and finally discuss the pricing of a simple ABS structure with CreditRisk..
